๐”– Bobbio Scriptorium
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Approximately Median-Unbiased Estimation of Autoregressive Models

โœ Scribed by Donald W. K. Andrews and Hong-Yuan Chen


Book ID
118034339
Publisher
American Statistical Association
Year
1994
Tongue
English
Weight
767 KB
Volume
12
Category
Article
ISSN
0735-0015

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Computing median unbiased estimates in m
โœ Ray C. Fair ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 388 KB

A stochastic simulation procedure is proposed in this paper for obtaining median unbiased (MU) estimates in macroeconometric models. MU estimates are computed for lagged dependent variable (LDV) coefficients in 18 equations of a macroeconometric model. The 2SLS bias for a coefficient, defined as the